Credit risk: main ways to minimize. Credit risk: the main ways to minimize - Borovskaya M.A. Minimization of the credit risk of fraudulent transactions

31.01.202327.05.2017

Baiseitov M.R.,

doctoral program PhD,

KazEU named after T. Ryskulov

WAYS TO MINIMIZE CREDIT RISKS

One of the most serious problems that commercial banks face is the risk of default on loans. Banks, of course, seek to minimize this risk through various methods of ensuring the return of bank loans.

Risk expresses the probability of the occurrence of some adverse event or its consequences, leading to direct losses or indirect damage. Financial markets are a very complex, unstable, high-tech environment. That is why banking is directly related to a wide variety of financial risks. The practice and methodology of control and management of banking risks is the most critical for banking. Successful risk management is the most important condition for the competitiveness and reliability of any financial institution. As numerous examples show, the most significant types of risk (credit, investment, currency) can lead not only to a serious deterioration in the financial condition of a credit institution, but also, in the limiting case, to loss of capital and bankruptcy. Proper assessment and management can significantly minimize losses.

The main task of risk management is to identify and prevent possible adverse events, find ways to minimize their consequences, and create management methodologies.

The degree of banking risks is determined both by economic conditions and by the strategy and level of the bank's management. Risk management requires fairly complex procedures and control infrastructure.

Traditionally, the overall level of risk in a bank is assessed by the criterion of capital adequacy, which plays the role of insurance to cover the risk.

The classification of risks is quite broad. Financial transactions are characterized by varying degrees of risk. It is customary to distinguish the following types of risks: systemic, country, credit, investment, currency, interest, liquidity, concentration, operational, legal, market, reputational risk, abuse, technological and others.

Allocate risk by types of borrowers (corporate client, bank, private person, etc.); risks associated with specific types of financial instruments (credit, promissory note, debt obligation, forward, etc.) and banking operations (credit, investment, foreign exchange). In addition, there are internal risks - related to the internal environment of the bank, external, incl. systemic risks, respectively, - with the external conditions of the bank's activities. The total bank risk shows the total risk of the bank.

One of the main strategic objectives of the bank is to ensure the optimum between profitability and risk. A strategy associated with high-risk operations leads to losses and a decrease in liquidity. On the contrary, if the profitability is below the market level, the bank begins to experience difficulties. In order to stabilize the level of risk with the growth of assets, it is necessary to increase capital.

It is known that the risk is associated with the term of investments - the longer the term, the greater the risk. Collateral - these are the types and forms of guaranteed obligations of the borrower to the lender (bank) to repay the loan if the borrower does not repay it.

Credit risk arises not only when lending for a period, for example, legal entities or individuals, the purchase of any debt obligations (government securities, corporate bonds, bills), but also in current settlements. In accordance with this, direct credit risk, the risk of default on securities (non-payment of a debt obligation, non-payment of coupons, etc.), the risk of non-fulfillment of off-balance sheet obligations, on derivative financial instruments, and settlement risk are distinguished.

The main elements of credit risk management are: analysis of the financial condition of borrowers and counterparties, loan collateral, setting limits on operations, reservations.

The traditional way to minimize this risk when lending to legal entities or individuals is to accept collateral (loan security) in the form of liquid assets or valuable property. One way to minimize credit risk in settlement transactions is to make prepayments.

The fundamental difference of the modern lending procedure is that the bank, first of all, is interested in the subject of lending, with which a loan agreement is concluded after studying its ability to repay the loan. All issues related to lending are resolved by the bank and the borrower on a contractual basis.

The loan agreement defines the mutual obligations and responsibilities of the parties. It provides for: the purpose and objects of lending, the amount of the loan, the terms and other conditions for issuing and repaying loans; types of loan security; interest rate for a loan; a list of documents submitted by the borrower to control the movement of the loan and the financial situation of the client; the frequency of submission to the bank, as well as the control functions of the bank in the lending process.

The timeliness of repayment of the loan will depend on how clearly and competently the Loan Agreement is drawn up.

Reduction in the additional agreement of the interest rate, provided that the original agreement provides for a fixed rate; with a floating interest rate - changes that do not comply with the conditions contained in the original agreement of the parties;

Extension in the supplementary agreement of the loan period specified in the original loan agreement;

An increase in the amount of the loan provided compared to the original;

Re-issuance of an additional agreement, in connection with which the quality of collateral for loan debt is actually improved compared to the original conditions. The re-registration of a loan indicates, first of all, a decrease in its quality and an increase in banking risk.

One of the conditions of the loan agreement should be the right of the bank to terminate the loan agreement ahead of schedule in case of violation by the client-borrower of the obligations stipulated by the agreement.

Typically, a bank requires early repayment of a loan or collects it in an indisputable manner when:

Untimely submission of balance sheets and other reporting forms to the bank or complete refusal to submit them;

Identification of cases of sale of pledged property without the consent of the bank;

Identification of cases of unsatisfactory storage of pledged property;

Late payment of principal and interest. The contract may grant the borrower the right not to use the loan (credit line) in whole or in part for justified reasons. Initially agreed value of the loan (credit line) may be subsequently adjusted by the parties. In case of early repayment of the loan or its incomplete use by the borrower, the bank loses part of its interest income.

Banks should constantly pursue a policy of spreading risk and avoiding the concentration of loans with a few large borrowers, as this can have serious consequences if one of them fails to repay the loan. The bank should not risk depositors' funds by financing speculative (though highly profitable) projects.

It should be noted that the quantitative assessment of assets does not play a special role in the analysis of the bank's activities; in accordance with international practice, the main criterion is the assessment of the quality of assets.

As you know, domestic banks are accustomed to conducting mainly short-term lending, and are reluctant to expand the long-term due to the high degree of risk due to the presence of industry specifics and a long payback period for invested funds. The issuance of a long-term loan does not allow one to reliably judge whether a given borrower will be able to fully fulfill its obligations to the bank in a few years, while a short-term loan is issued for a relatively short period, during which the financial stability of the enterprise does not change significantly.

Credit risk in relation to a bank arises when the counterparties of banks fail to fulfill their obligations, which, as a rule, manifests itself in the non-repayment (in whole or in part) of the principal amount and interest on it within the terms established in the loan agreement.

Propensity for short-term lending;

Insufficient quality of the resource base of banks;

Lack of a powerful information center;

Lack of highly specialized personnel.

In this regard, the main tasks of credit management aimed at reducing credit risk are:

Identification of factors affecting the level of credit risk;

Optimization of the loan portfolio in terms of credit risks, the composition of clients and the structure of loans;

Determining the level of creditworthiness of the borrower and identifying the possibility of changing its financial position;

Identification of problem loans at an early stage of their occurrence;

Assessment of the sufficiency of the resource base and its timely adjustment;

Ensuring the diversification of credit investments, their liquidity and profitability;

Development of the bank's credit policy, taking into account the analysis of the quality of the loan portfolio.

The high degree of risk of lending to industrial enterprises requires a commercial bank to have a carefully thought-out risk management policy within the credit policy, which includes a strategy, assessment methods, and forms of risk management.

Credit management in the field of credit risk management involves risk diversification, the definition of a system of delegation of authority, the formation of a high-quality credit file, a monitoring system for an issued loan, the availability and quality of an information database, as well as the availability of a service that repays problem loans.

Risk diversification implies that the loan portfolio of any bank must be diversified so that the insolvency of one client, a group of clients, or an industry does not jeopardize the existence of the bank.

Bank management in the field of credit management is a complex and multifaceted process. The quality of management of the lending process depends, first of all, on the success of the implementation of each stage separately, which in turn is directly related to the experience and qualifications of the personnel.

Modern conditions for the development of the economy are still characterized by a shortage of not only qualified bank employees, but also competent managerial personnel at an industrial enterprise, which has led to instability and uncertainty in the activities of commercial banks in relation to the industrial sector.

The process of active interaction between banks and industry is hindered by a lack of understanding and unwillingness on both sides to find a compromise way out of the current situation. In fact, the mutual integration of banks and industry presupposes the existence of strong, inextricable and long-term ties between these structures and their divisions. Therefore, the management and management personnel of banks and industrial enterprises should be clearly aware that the use of a loan should not be momentary and one-time, on the contrary, credit relations should be based on long-term and close relationships with the direct participation and control of each of the parties.

Thus, in the process of interaction between commercial banks and industrial enterprises in modern conditions, the active use of foreign experience adapted to domestic conditions would contribute to a quick exit from the current paradoxical situation, when industrial enterprises are experiencing a shortage of financial resources, and banks can, but are afraid to actively lend to the latter. . At the same time, the use of optimal approaches from foreign experience in minimizing credit risks is not always acceptable for the Kazakhstani economy due to the distinctive features of the market infrastructure.

References:

1. Seitkasimov G.S. Banking, A: " Karzhy - Karazhat", 1998

One of the most serious problems that commercial banks face is the risk of default on loans. Banks, of course, seek to minimize this risk through various methods of ensuring the return of bank loans.

The main task of risk management is to identify and prevent possible adverse events, find ways to minimize their consequences, and create management methodologies.

Traditionally, the overall level of risk in a bank is assessed by the criterion of capital adequacy, which plays the role of insurance to cover the risk.

Allocate risk by types of borrowers (corporate client, bank, private person, etc.); risks associated with specific types of financial instruments (credit, promissory note, debt obligation, forward, etc.) and banking operations (credit, investment, foreign exchange). In addition, there are internal risks - associated with the internal environment of the bank, external, incl. systemic risks, respectively, with the external conditions of the bank's activities. The total bank risk shows the total risk of the bank.

One of the main strategic tasks of the bank is to ensure the optimum between profitability and risk. A strategy associated with high-risk operations leads to losses and a decrease in liquidity. On the contrary, if the profitability is below the market level, the bank begins to experience difficulties. In order to stabilize the level of risk with the growth of assets, it is necessary to increase capital.

The main elements of credit risk management are: analysis of the financial condition of borrowers and counterparties, loan collateral, setting limits on operations, reservations.

The fundamental difference between the modern order of lending is that the bank, first of all, is interested in the subject of lending, with which a loan agreement is concluded after studying its ability to repay the loan. All issues related to lending are resolved by the bank and the borrower on a contractual basis.

The timeliness of repayment of the loan will depend on how clearly and competently the Loan Agreement is drawn up.

During the execution of the loan agreement, unforeseen problems may arise, as a result of which it is necessary to change the terms of the agreement. Changes in lending conditions and re-issuance of loans can occur on the initiative of both the borrower and the bank. A change in the terms of the agreement on rescheduled loans means one of the following changes: a decrease in the interest rate in the additional agreement, provided that the original agreement provides for a fixed rate; with a floating interest rate - changes that do not comply with the conditions contained in the original agreement of the parties; extension in the additional agreement of the term for granting the loan specified in the original loan agreement; an increase in the amount of the loan provided compared to the original; re-issuance of an additional agreement, in connection with which the quality of collateral for loan debt is actually improved compared to the original conditions. The re-registration of a loan indicates, first of all, a decrease in its quality and an increase in banking risk.

Usually, the bank requires early repayment of the loan or collects it in an indisputable manner in case of: untimely submission of balance sheets and other forms of reporting to the bank or complete refusal to submit them; revealing cases of sale of pledged property without the consent of the bank; revealing cases of unsatisfactory storage of pledged property; late payment of principal and interest. The contract may grant the borrower the right not to use the loan (credit line) in whole or in part for justified reasons. Initially agreed value of the loan (credit line) may be subsequently adjusted by the parties. In case of early repayment of the loan or its incomplete use by the borrower, the bank loses part of its interest income.

Banks must constantly pursue a policy of spreading risk and avoiding the concentration of loans with a few large borrowers, as this can have serious consequences if one of them fails to repay the loan. The bank should not risk depositors' funds by financing speculative (though highly profitable) projects.

In order to limit the risk and increase the inflow of credit resources into the industry, it is necessary to improve the management of the loan portfolios of domestic commercial banks, which are characterized by the following features: propensity for short-term lending; insufficient quality of the resource base of banks; lack of a powerful information center; lack of highly specialized staff.

In this regard, the main tasks of credit management aimed at reducing credit risk are: determining the factors that affect the level of credit risk; optimization of the loan portfolio in terms of credit risks, the composition of clients and the structure of loans; determining the level of creditworthiness of the borrower and identifying the possibility of changing its financial position; identification of problem loans at an early stage of their occurrence; assessment of the sufficiency of the resource base and its timely adjustment; ensuring the diversification of credit investments, their liquidity and profitability; development of the bank's credit policy, taking into account the analysis of the quality of the loan portfolio.

References:

1. Seitkasimov G.S. Banking, A: "Karzhy - Karazhat", 1998

The most relevant banking risk is credit risk. Credit risk- this is the risk of non-repayment or incomplete and untimely repayment of the principal amount and interest on it. Since the bank conducts its main operations in the field of lending, it is due to credit risk that the bank incurs its main losses. The profitability of the bank decreases, the size of the required intra-bank reserves increases, and there are problems with liquidity. An outstanding loan is, relatively speaking, someone's deposit, and, losing money due to problem loans, the bank, nevertheless, retains obligations to its creditor customers - enterprises and individuals.

External causes of credit risk, i.e. reasons outside the bank and beyond the control of the bank are macroeconomic circumstances that sharply reduce the creditworthiness of borrowers. It is possible that their creditworthiness was analyzed quite well, but some objective and negative market factors, both within the country and abroad, were not taken into account.

Economic crises significantly reduce the creditworthiness of clients, the probability of which is not always realized even by the most competent world analysts.

The creditworthiness of borrowers is affected by the declining dynamics of world prices for raw materials, consumer and industrial products. As a result, national exporters, whose creditworthiness was calculated on the basis of higher prices, are unable to fulfill their obligations under the loan agreement.

The creditworthiness of the clientele is strongly influenced by one or another dynamics of the national currency exchange rate. Upward dynamics reduces the creditworthiness of domestic producers and exporters, while downward dynamics reduces the creditworthiness of households and importers, as domestic prices rise and purchases and sales decrease.

All manufacturers in the market are in a changing competitive environment. Changes in this environment are very difficult to predict, which significantly distorts the characteristics of the creditworthiness of a particular borrower. A simple example. One supermarket successfully operated in the microdistrict. All of this borrower's loans were repaid on time, as its creditworthiness was based on stable earnings. In a matter of months, another supermarket was built nearby and the income of the first trading establishment was noticeably reduced. Shortly before this, the first supermarket took a large loan from the bank for one year. The borrower repaid the rest of the loan with great difficulty.

Sudden changes in legislation, tax rates, railway tariffs are also possible, which can also reduce the creditworthiness of borrowers.

And, finally, accidents, diseases, criminal "showdowns" and man-made disasters. It is almost impossible to predict their occurrence and the degree of impact on the creditworthiness of the borrower.

The internal causes of credit risk are due to the activities of the bank's specialists. Credit risk arises as a result of miscalculations by bank managers and security specialists.

The probability of credit risk occurrence can be significantly reduced if at every stage of lending, from the development of a credit policy to the methods of monitoring the repayment of loan debt, one should remember about its existence.

The credit policy of a commercial bank is the cornerstone of good credit management. In the “Memorandum of Credit Policy”, bank analysts, as a rule, analyze the state and volatility of the market in the country and in the region.

This analysis has several aspects and can comprehensively assess the demand for money in each particular period. It is possible to compile statistical information on various types of borrowers in the industry and economic context. Such an analysis can be called fundamental and it allows bank managers to have a theoretical idea of potential borrowers, even before they apply to the bank for a loan. In other words, knowing the forest, you can tell a lot about the trees.

In our opinion, this “general to specific” approach is essential to reduce credit risk. Natural phenomena occurring in various economic sectors, one way or another, affect the creditworthiness of potential borrowers.

Of course, the economic and legal security service will assess the economic legal competence of the borrower in more detail, but without taking into account the macroeconomic situation, it may turn out to be incomplete and unreliable.

Some protection against the likelihood of credit risk is created by the quality of credit documentation. This is, first of all, a loan agreement that comprehensively provides for the rights and obligations of the parties, loan clauses. Documents confirming the security of the loan are also important: contracts - guarantees, guarantees, collateral in one form or another. Properly executed loan and security documentation allows the bank to take legal protection measures by applying to the courts.

The key factor that reduces credit risks in lending to individuals and legal entities is the verified creditworthiness of borrowers. According to Russian scientists O.I. Lavrushin, O.N. Afanasyeva, S.L. Kornienko, the Bank of Russia needs to formulate the necessary criteria to bring internal banking methods for assessing the creditworthiness of a borrower in line with international standards. The requirements of the Bank of Russia lag far behind international standards for assessing the creditworthiness of clients. For example, when assessing a borrower's creditworthiness, the Bank of Russia proposes to use 5 rating grades, while the Basel Committee requires 8-11 rating grades.

The existing methods of assessing creditworthiness used in the practice of domestic banks do not take into account the impact of external risk factors that may occur in the future. To do this, it is necessary to develop computer programs that are able to take into account the impact of objective macroeconomic factors on the creditworthiness of borrowers in the forecast period.

The principle of loan security allows the bank to repay the lost loan by selling collateral or attracting funds from guarantors, guarantors. This measure significantly reduces the likelihood of losses. Why do banks not always apply this principle and are ready to provide a loan without guarantees and guarantees “within 15 minutes”?

Indeed, many banks do thorough credit checks and insist on adequate collateral only when it comes to large loans. Insignificant, by the standards of this bank, loans, say, up to 100 thousand rubles, are provided without a detailed assessment of creditworthiness and without collateral at a sufficiently high level.

some interest. The calculation is simple. There are always more law-abiding and honest borrowers. It is they who, by paying the increased interest to the bank in a timely manner, offset the losses associated with bad loans. As they say, they pay "for themselves and for that guy."

In the case of leasing or mortgage transactions, banks also practically do not assess creditworthiness, since they own real estate, machinery and equipment and are confident that in case of non-repayment of funds they will be able to quickly sell them and compensate for losses and losses.

How dangerous and erroneous such a position was, the mortgage crisis in the United States in 2008 showed. loans, leading to global credit risk and then to strategic and systemic risk.

Only one conclusion can be drawn: bank managers must assess the creditworthiness and insist on some form of security for all borrowers, regardless of the size and terms of loans provided. It is unacceptable to "shift" your miscalculations and unwillingness to work for responsible borrowers. An example is Sberbank of Russia, where the position of management and specialists in the process of managing credit risk is based on a detailed assessment of the creditworthiness of individuals and legal entities and the preparation of sufficient collateral for loans issued.

A significant reduction in credit risk is facilitated by control over the timely and full repayment of the loan. It is necessary not only to promptly remind about the inadmissibility of overdue payments, but also to monitor large borrowers - legal entities and individuals.

Each commercial bank forms a certain loan portfolio. To reduce the risk probability of the loan portfolio, its quality should be managed.

The risk assessment of the loan portfolio has the following features. It is important to assess the overall credit risk, which in turn depends on the degree of risk of individual segments of the loan portfolio. Each segment has its own lending specifics due to the diversified structure of the loan portfolio. Therefore, to assess the quality of the loan portfolio, a system of indicators should be used that takes into account many aspects, and not just the profitability of the loan portfolio.

Of course, the profitability of the loan portfolio is the most important criterion for its quality. Elements of the loan portfolio can be divided into two groups: income-producing assets and non-income-producing assets. The latter group includes loans with low interest rates, loans with frozen interest, loans with a long delay in payments. The profitability of the loan portfolio has a lower and an upper limit. The lower limit is determined by the cost of credit operations (payment for the acquired funds, wages of bank staff, other costs). The upper limit takes into account profit, i.e. bank margin. The margin must be sufficient:

But in our opinion, it is necessary to analyze what factors account for such income: due to high interest rates on loans or due to the expansion of the lending market.

The current assessment of the liquidity level of the loan portfolio, which is also a characteristic of its quality. Liquidity is characterized by a high degree of repayment of bank loans. It is important that the loans provided by the bank are returned within the terms established by the agreements. The higher the proportion of "good" repayable loans, the higher the bank's liquidity.

Thus, the quality of the loan portfolio is determined by such indicators as the degree of credit risk, the level of profitability and liquidity. What indicators for a given period are priorities are decided by bank managers.

A few words about the reserve for possible losses on loans. Serious Russian economists, such as L.G. Batrakova, O.I. Lavrushin, N.I. Valentseva consider this reserve to be a kind of credit risk absorber. It is known that the method of formation of this reserve is such that the more bad loans, the greater the amount of the reserve. In our opinion, this fund is more likely to compensate for deposit risk, rather than credit risk. But in a general sense, this is not important.

A significant negative point in the activities of a commercial bank is the insufficient development of a credit risk management strategy, both in organizational and analytical aspects. If in the current period there are fewer losses in the lending process, then it is considered that the bank has coped with credit risks, and if there are more losses, then the bank does not pay due attention to these risks.

In our opinion, the bank's position should be fundamentally different.

Losses and losses of the bank associated with non-repayment of loans unambiguously provoke other risks and new losses. And it's not about quantity, it's about quality. It is necessary, in our opinion, to study the relationship between losses on loans and other areas of banking activity. In other words, it is necessary to assess the consequences of credit risk in a comprehensive manner.

Credit risk and ways to minimize it.

Pliev Taimuraz Igorevich,

Postgraduate student of the department "Finance and Credit" SOGU

annotation

The lending activity of the bank is one of the fundamental criteria that distinguishes it from non-banking institutions. Lending operations are the most profitable item in the banking business. This source forms the main part of the net profit allocated to reserve funds and used to pay dividends to the bank's shareholders. At the same time, non-repayment of loans, especially large ones, can lead the bank to bankruptcy, and due to its position in the economy, to a number of bankruptcies of enterprises, banks and individuals associated with it. Therefore, credit risks are the main problem of the bank, and their management is a necessary part of the strategy and tactics for the survival and development of any commercial bank.

Keywords:

Lending, creditor, banking resources, credit risks, credit analysis, credit transaction.

Risk is synonymous with uncertainty, the inability to predict with 100% accuracy whether an event will occur or not. Some events, of course, are completely predictable and therefore do not involve any risk. It is human nature to seek to avoid risk. If we cannot control the risk, then we usually prefer to avoid it. Forced to recognize the presence of risk in our lives, we wish to minimize the degree of risk we are exposed to as a result of our actions. Or we want to correlate the risk of an event or the riskiness of an enterprise with possible benefits, i.e. we want to choose

the optimal ratio of risk and benefit of any enterprise. Although people face risk in the economic sphere permanently, its theoretical knowledge is clearly insufficient. This is probably explained by the fact that for a long time they did not see a subject for proper theoretical research, believing this entire area to be related only to practice. In the last decade, the situation began to change, the Westerners quite actively turned to this subject, and with the start of economic reforms

And our researchers. However, to this day, no generally accepted interpretation of the economic concept of "risk" has been developed. The success of a commercial bank depends on how efficiently it uses the available funds by investing them in various assets. The most common way to use bank resources is to provide loans. Studies of bank failures around the world indicate that the main reason for this was the poor quality of assets (usually loans). Thus, the acceptance of credit risks is the basis of banking, and their management has traditionally been considered the main problem of the theory and practice of banking management. Credit risk is the possibility of loss due to non-payment or late payment by a client of its financial obligations. Both the lender (the bank) and the borrower (the company) are exposed to credit risk. Credit risk refers to the possibility that a company will not be able to repay its debts on time and in full.

In the lending process, the Bank uses the principle of a clear separation of three levels of the lending process: level 1 - initial contact with the client (up to the assessment of the appearance and car in the west) - makes a preliminary assessment of the Client and the project, incl. for their compliance with the provisions of the Bank's credit policy, and also collects all documents necessary to assess the possibility of lending; level 2 - credit analysis - assesses the Borrower's creditworthiness, credit limit, collateral, project evaluation and analysis,

risk analysis; level 3 - monitoring and preparation for issuing a loan - draws up documents, makes payments, controls the fulfillment of the terms of contracts, etc.; loans are provided to lending entities of all forms of ownership on a commercial, contractual basis, subject to the principles of security, repayment, urgency, payment and target orientation; if the client's proposal is at odds with the principles and guidelines of the policy pursued by the Bank in the field of credit operations, then the application is rejected. When lending, preference is given to the Bank's customers; credit relationships are regulated on the basis of loan agreements concluded between the Bank and the Borrower; The amount of the loan provided to the Borrower is determined based on its financial condition, the requested loan amount, the value of the available collateral, and the Bank's performance standards.

At each of these stages, the bank's specialists do their best to use all risk management techniques that allow reducing the degree of credit risk. The most common measures aimed at reducing credit risks are: conducting a qualitative credit analysis, proper structuring of a credit transaction, high-quality documentation of a loan, attracting sufficient and high-quality collateral, monitoring loans and promptness in debt collection, limiting loans, diversifying risks, insuring credit operations, self-insurance (determination of internal sources of risk coverage, such as equity and bank reserves).

Credit risk for banks consists of borrowers' debts on bank loans, as well as clients' debts on other transactions. According to statistics, over the past few years, the volume of active operations of commercial banks related to lending operations has significantly increased. In the context of a sharp increase in volumes

high-profit lending, both competition and risk have risen sharply. In such a situation, the quality of internal borrower assessment models used by banks is of great importance. In practice, two types of methods are most commonly encountered.

The first is a methodology based on the requirements of Bank of Russia Regulations No. 254-P "On the procedure for the formation by credit institutions of reserves for possible losses on loans, loan and equivalent debts" of March 26, 2004 and Regulation of the Central Bank of March 20, 2006 N 283-P "On the procedure for the formation by credit institutions of reserves for possible losses" . They are mainly used by banks that lend to a limited range of borrowers and, as a rule, have managed to accumulate a large amount of information about the financial situation and credit history of customers. The main purpose of these methods is to minimize the reserves created taking into account the requirements of the law. The second type of methods is used by those who actively lend to borrowers for whom there is no accumulated information, therefore, there are high risks. The main purpose of such techniques is to classify borrowers into categories of loan debt quality and identify factors that can worsen their financial situation. Which of the methods to choose, the bank decides on its own - it has been granted such a right. The composition of specific indicators and their criteria are fixed by internal documents. The main method of evaluating borrowers in banks remains the weighted score. It is based on the calculation of financial indicators taken from the financial statements of the borrower, each of which is assigned a score, and a weighting factor. Points are also assigned to qualitative indicators. The sum of the received scores, multiplied by the weighting coefficients, gives the result according to which the loan debt rating is assigned. This technique has great implications. Due to inaccuracies

calculation, there is a risk of erroneous determination of the borrower's loan quality category.

This technique has undeniable advantages: simplicity

use; in most cases, the source data is the borrower's reporting data; the possibility of full automation of the process of assigning a credit rating.

However, the point-weight method also has its drawbacks: official reporting indicators are presented as totals for groups of accounting accounts without decoding the components; the amounts reflected in the balances on the accounting accounts do not always coincide with the market value. For example, the carrying amount of property, plant and equipment may differ from fair value up or down; some indicators are determined subjectively, interpretations are possible. For example, the indicator “level of competition in the industry” is often found, for which uniform criteria are used: low scores with a high level of competition and high

At low. The explanation is that there are high risks in a competitive market, but it is where more efficient borrowers can be present than in a non-competitive market; it is impossible to write a single methodology; the assigned scores and weighting coefficients are determined by the bank independently - as a rule, without preliminary calculation of the validity of the criteria.

With the development of high technologies, both in the world and in Russia, the cases of hacker attacks on credit organizations have become more frequent, recently many credit organizations of our republic have been subjected to hacker attacks, as a rule, this process begins with the infection of the Troyan virus, the “bank client” program, then when passwords are received from the program, a payment order is sent to the bank from the client with

by a requirement to transfer money to the account specified in the document, after the transaction, the money is cashed out at ATMs in different cities of Russia. This is one of those risks for which it is impossible to be prepared, it is necessary to introduce a new rule, verbal confirmation by the client of any operation carried out on his current account, i.e. the operator responsible for the settlement accounts of legal entities should not have the right to conduct it without confirmation of the payment. Thus, there are indirect problems that directly affect credit risks.

Bibliography:

1. Website of the Central Bank of the Russian Federation: www. CHr. Ru

Tutorial. Taganrog: Izd-vo TRTU, 1999. 169p.

TOPIC 4. FORMATION OF THE BANK'S CREDIT POLICY

4.2. Credit risk: main ways to minimize

Credit operations- the most profitable article of the banking business. At the same time, the structure and quality of the loan portfolio are associated with the main risks to which the bank is exposed in the course of its operations (liquidity risk, credit risk, interest rate risk, etc.). Among them, the central place is credit risk(or the risk of default by the borrower of principal and interest on the loan in accordance with the terms and conditions of the loan agreement). The profitability of a commercial bank is directly dependent on this type of risk, since the cost of the loan part of the bank's asset portfolio is largely influenced by non-repayment or incomplete repayment of loans issued, which affects the bank's equity. Credit risk is not a "pure" internal risk of the lender, as it is directly related to the risks assumed and borne by its counterparties. Therefore, the management of this risk (minimization) involves not only an analysis of its "internal" component (associated, for example, with the degree of diversification of the loan portfolio), but also an analysis of the entire set of borrowers' risks.

Bank managers need to be aware that it is not possible to completely eliminate credit risk. Moreover, interest on issued loans, in fact, is a payment for the risk that a commercial bank takes on when issuing a loan. The higher the credit risk, the higher, as a rule, the interest rate paid on this loan.

There are several proven ways to minimize the credit risks of a commercial bank.

1. Diversification of the loan portfolio. The essence of the diversification policy is to provide loans to a large number of independent clients. In addition, loans and securities are distributed by maturity (regulation of the share of short-, medium- and long-term investments depending on the expected change in the market), as well as by the purpose of loans (seasonal, for construction, etc.), by type of security for different types of assets, by the method of setting the rate for a loan (fixed or variable), by industry, etc.

In order to diversify, banks carry out credit rationing- establish floating credit limits or credit ceilings for borrowers, above which loans are not provided, regardless of the level of interest rate.

2. Conducting a comprehensive analysis of potential borrowers and ranking them according to the degree of reliability. In the process of such an analysis, it is especially important to analyze the financial condition of a potential borrower according to the balance sheet and income statement, since in the context of a constant increase in demand for credit resources compared to their supply, improving the efficiency of the procedure for selecting several borrowers becomes a priority for the credit policy of any bank . There are no more or less formalized methods of such analysis. Therefore, taking into account the experience of American banks, this gap can be partly filled by proposing a basic scheme for such an analysis. It assumes that the bank optimizes the distribution of loan resources and selects the most reliable from many potential borrowers, i.e. it ranks them by assigning each a loan priority rating (hereinafter referred to as the borrower's rating).

This rating consists of the exact value of the integral indicator of the borrower and the grouped value of the integral class of the borrower. As a result, each of the enterprises belongs to one of four classes.

In the vast majority of cases, the lender issues loans in the form of money (a resource whose liquidity is equal to 1), while the enterprise then exchanges them for liquid and profitable economic resources. And since the structure of the firm's assets is inertial, the creditor should be primarily interested in the structure of the enterprise's property, depending on the liquidity of its individual items.

It is recommended that the lender study the forms of financial statements of the enterprise in four areas:
· analysis of solvency (degree of availability of reserves and costs by sources of their formation);
analysis of the creditworthiness of the enterprise (its susceptibility to loans, the ability to fully pay off its obligations on time with liquid funds);
analysis of financial independence (the ability to independently and effectively pursue financial policy);
· Analysis of the debt structure (determination of the type of policy of the company's managers according to the structure of loans received).

Solvency indicators. In modern economic literature there are a large number of definitions of solvency. Most often, solvency at a point in time is defined as the payment surplus/shortage between available liquid resources and liabilities payable at that point in time. However, it makes sense to study the essential features of the firm's solvency and consider solvency as an external effect of the provision of reserves and costs with sources of their formation, and insolvency, respectively, as their insecurity. For the purposes of the analysis carried out by the creditor, it is sufficient to fix four levels of solvency depending on the values of three main coefficients:

1) the coefficient of provision of reserves and costs with own sources of formation (own working capital)

where P 1 - own working capital (Table 4.1);
Z - the amount of reserves and costs;

2) ratio of reserves and costs with own and long-term borrowed sources

where P 2.1 - long-term borrowed sources;

3) the ratio of reserves and costs to the main sources

where P 2.2 - short-term loans and borrowings.

Solvency assessment (f1) will be carried out in four classes.

The first class includes all enterprises for which the coefficient is greater than or equal to one. The financial condition of such enterprises can be characterized as absolutely stable. All expenses for the formation of stocks and costs are covered by own working capital.

The bank, of course, will be interested in how long this situation will last. Calculation of financial stability in days is made according to the following formula:

where T is the value of the analyzed period (for a year 365 days);

N - funds from the implementation.

The second class corresponds to the normal constraints

The financial condition of the enterprise is normal. The amount of reserves and costs corresponds to the capabilities of the enterprise and is formed at the expense of own and long-term borrowed funds. The stability margin of this type in days is calculated as

The third solvency class is assigned to an enterprise if

The financial condition of the enterprise is unstable. The amount of stocks and costs is excessive. Their formation is carried out by attracting not only own and long-term borrowed funds, but also through short-term loans and borrowings. The stability margin of this type in days is calculated as

The fourth class is assigned to an enterprise if all three coefficients are less than one. It includes enterprises with a crisis financial condition, enterprises overloaded with non-mobile stocks. Sources of formation of stocks and costs are not enough to service inventories. The company is on the verge of bankruptcy.

Credit indicators. This is the core block of the analysis of the financial condition of the enterprise, conducted by the bank. Creditworthiness - the ability of an enterprise to "accept" a loan without prejudice to be overloaded with borrowed funds and pay it off in full and on time.

The essence of the analysis of creditworthiness lies in the calculation of a system of norms that allows you to determine which assets that have a different implementation period, and therefore, in what period of time, an enterprise can pay off the obligations already assumed if the structure of its finances (which also indicates the effectiveness of its activities) does not will change.

WITH The system includes three rules.

1. The rate of cash resources shows what share of short-term debt the company can repay immediately:

where AR 1 - highly liquid assets;
OB 1 - short-term liabilities.

2. The liquidity ratio characterizes the payment capabilities of the enterprise for short-term loans and accounts payable, subject to timely settlements with debtors:

where AP 2 - all liquid assets.

3. The coverage rate characterizes the ability of the enterprise to repay the most urgent obligations through the sale of not only fast-moving assets, but also tangible working capital.

where AR 3 - mobilized assets;
OB 2 - all explicit obligations of the firm.

For each of these indicators, four levels are fixed. The intervals between them will be called classes.

Let us define in detail the classiness of the norm of monetary resources (f2). The first class includes all enterprises that meet the regulatory restrictions:

The second class is defined on the interval . The third class is satisfied by the conditions< 0,2 и . For the fourth class, the last constraint is reversed, i.e. .

The class property of the liquidity norm (f3) is similar:
I class>1;
II class;
III class<0,2 и если предполагается изменение нормы за период;
IV class<0,2 и если изменение нормы за период отрицательно.

Classiness of coverage norms (f4):
I: >= 3;
II: ;
III:<2 и если предполагается изменение нормы за период;
IV:<2 и если изменение нормы за период отрицательно.

In order to evaluate the results of the analysis for this bank, we will introduce an intermediate indicator - a creditworthiness assessment, which we calculate by the formula:

where i - classes K4, K5, K6;
INT - round to integer operation.

I class. The company is able to repay all urgent obligations at the expense of mobile funds, that is, in the shortest possible time, including for a cash report of at least 70%.

II class. By attracting rapidly mobilized assets, an enterprise can repay from 80 to 100% of term liabilities, including from 20 to 70% by direct transfer of funds.

III class. Attracting all marketable assets makes it possible to cover less than 80% of short-term debt, which means significant difficulties in settling accounts with creditors. However, the company has the opportunity to restore its solvency.

IV class. The enterprise is under the threat of crisis and bankruptcy, the tendency to the deterioration of the financial condition is pronounced.

Analysis of the financial independence of the enterprise. This block of analysis allows you to answer the question: does the enterprise have the opportunity to use credit to improve the efficiency of its work, or is it not independent in making its decisions in the financial area?

To analyze financial independence, it seems appropriate to use a system of four financial ratios.

· Autonomy coefficient characterizes the share of the enterprise's own funds in the total balance sheet and shows how much it depends on external sources of financing. The higher the value of this indicator, the greater the financial independence of the enterprise.

The autonomy coefficient is calculated according to the following formula:

where OB 4 - liabilities and own funds of the company;
OB 5 - balance sheet currency (total of liabilities).

· Agility factor shows what part of the company's own working capital is in a mobile form and, therefore, determines the degree of freedom of financial maneuver:

· DER (debt-eguity ratio) complements the autonomy ratio. Characterizes how many rubles of borrowed funds account for one ruble of own:

· The coefficient of "free hands" characterizes the ratio of mobile and immobilized funds in the balance sheet of the enterprise, i.е. in fact, its ability to quickly initially respond to changes in external conditions. This coefficient is a correction indicator for calculating the DER rating:

where AP 4 is the balance sheet property of the company.

As in the previous block, consider four classes for each coefficient.

Classiness of the autonomy coefficient (f3):
I: and if the change in the coefficient for the period is positive;
II: and if the change in the coefficient for the period is negative;
III: <0,5 и если изменение коэффициента за период положительно;
IV: <0,5 и если изменение коэффициента за период отрицательно.

Classiness of the coefficient of maneuverability (f6):
I: ;
II: >0,7;
III:<0,5 и если изменение нормы за период положительно;
IV: <0,5.

The class of the DER indicator (f7):
I:II: III:> min(1; K10) and if the change in the indicator for the period is negative;
IV:> min(1; K10) and if the indicator change over the period is positive.

The principle of calculating the interim assessment of financial independence will be similar to the principle of calculating the final indicator for the previous block of analysis:

where j - classes K7, K8, K9.

We obtain a distribution over four classes.

I class. High level of financial independence. The share of own funds as a result of the balance exceeds 50% and tends to increase. For borrowed funds, it allows, if necessary, to carry out a financial maneuver, both tactical and strategic.

II class. Acceptable level of financial independence. For own funds it exceeds 50%, but there is a tendency to decrease it and increase the share of borrowed funds. The possibility of quick maneuver by mobile means remains.

III class. Significant dependence on external sources of financing: the share of borrowed funds exceeds 50%. However, there is a trend towards its reduction. The possibilities for financial maneuver are limited.

IV class. Strong dependence on external sources of financing and the situation continues to worsen. The company's own working capital is insignificant, so there is practically no possibility of financial maneuvering.

Studying the structure of loans received is of considerable interest, as it makes it possible to see in what form the management of the enterprise prefers to "keep" its obligations. And therefore, is the appeal to the bank a traditional form of management policy or is it an unconventional measure, and in the latter case is it used for the first time, or did the management take such a step in conditions when other paths are already blocked?

Combinations of possible paths in this area are presented in Table. 4.1.

Classification of enterprises according to the structure of loans received

Table 4.1

Legend:

LB- a situation where the bulk of borrowed funds of the enterprise is long-term bank debt. Ceteris paribus, LB class enterprises are the most preferred borrowers for short-term lending.

LE- a situation where the bulk of borrowed funds of the enterprise is in the form of long-term accounts payable. On the preference scale (ceteris paribus), the LE class enterprise ranks second.

SB- the bulk of borrowed funds the company receives by attracting short-term bank loans. On the preference scale (ceteris paribus), the SB class enterprise ranks third.

SE- the bulk of borrowed funds is short-term accounts payable. SE class enterprises (ceteris paribus) are the least preferred borrowers.

In order to determine which cell of the matrix the analyzed enterprise falls into, we calculate four indicators:

1) long-term debt rate(for long-term debt in the firm's total liabilities)

where P 2.3 - long-term accounts payable;

2) rate of long-term accounts payable(share of long-term accounts payable in total liabilities)

3) short term debt rate(short-term debt to total liabilities)

where P 2.4 - short-term accounts payable;

4) the rate of short-term accounts payable ( short-term accounts payable to the amount of liabilities)

Using these coefficients, the following indicators are calculated: K11 - K12, K12, K13 - K14, K14, which form a one-dimensional array consisting of four elements. In each particular case, the maximum element of this array determines the predominant type of the borrower: if the maximum element is K11 - K12, then the predominant type of the borrower is LB, if the maximum element is K12, then the borrower type is LE, if the maximum element is K13 - K14, then the borrower type - SB; the SE type is due to the maximum element K14. The predominant type of the borrower in the classes will be denoted as f8.

Formation of an integral rating. The accumulated information allows us to calculate the most important indicator - integral rating of the borrower. Of the possible calculation formulas, the simplest and, obviously, the most reliable one was chosen, although the calculation process is associated with rather large information losses, which will be taken into account below.

The integral rating of the borrower summarizes information on solvency analysis, creditworthiness analysis, analysis of financial independence and analysis of the structure of loans received. In this case, the "share" of each block in the total assessment of the financial condition of the company automatically depends on the number of coefficients used to analyze each block. Thus, an increase in the number of characteristic coefficients in the sectors most of interest to the investor allows you to simultaneously obtain more detailed information and reflect the significance of this sector in the overall rating of the financial condition.

integral class borrower is obtained by rounding the rating value to an integer. The exact value of the rating makes it possible to rank (according to the degree of reliability) borrowers within the same class.

Borrower class (F) is determined by the formula

I class. Borrowers with absolutely stable financial condition. The company's dependence on external sources of financing is low. The company is able to pay off all its obligations on time thanks to mobile assets alone. The risk of non-repayment of the received loan is minimal.

II class. Borrowers with normal financial stability. External sources of short-term financing do not play a significant role in the activities of the enterprise. Stocks of inventory items generally comply with the norms. The risk in lending to this borrower does not exceed the maximum allowable level.

III class. Borrowers with an unstable financial situation. The company is dependent on external sources of financing. The risk of payments on received loans and credits is high.

IV class. Borrowers with financial crisis. The company is unable to pay off its obligations and is on the verge of bankruptcy. Lending to borrowers of this class is impractical.

Thus, as a result of summarizing the results of the financial analysis of a Russian company by a potential lender, we have a three-position set of integral indicators: an integral assessment of liquidity, an integral rating of a borrower, and an integral class of a borrower. The meaningful interpretation of assigning borrowers to a particular class is defined above. The database of borrowers is ranked by integral rating.

When comparing borrowers within the same class, it is necessary to consistently compare the following indicators:
1) the integral rating of the borrower (preference is given to the borrower whose rating is lower);
2) integral assessment of liquidity (preference is given to the borrower whose value of this indicator is higher).

However, the comparison according to the integral rating is carried out with the maximum permissible deviation of ±0.0(9). If borrowers of the same class, occupying consecutive cells in the database, have a difference in integral ratings modulo within 0.0(9), then preference is given to the borrower whose integral liquidity score is higher (the comparison is made without any marginal deviations ).

Such a complicated procedure was introduced because the integral rating has an error as one of its components, which occurs due to the loss of information at different stages of its calculation (for example, when rounding or when moving from a specific value of a financial ratio to its class). The threshold deviation (and with a sufficiently large margin of safety) can be a value of 0.1. The choice of the balance sheet liquidity assessment as the second (test) integral indicator was due to two circumstances:
- Firstly, liquidity assessment in a different (non-standardized) form reflects the results of the creditworthiness analysis - the most important block of the enterprise analysis conducted by the bank;
- Secondly, the loss of information in the calculation of the integral assessment of liquidity is "microscopic".

Thus, a system of three integral indicators (class/rating/liquidity assessment) makes it possible to accurately rank any subset of potential borrowers in terms of their reliability and thereby reduce the risk of loan default. Comparative calculations have shown that this system is more efficient than one- or two-position sets of similarly built integral indicators.

To conduct a complete financial analysis of borrowers, the bank must use, along with quantitative indicators, also qualitative ones, which cannot be measured and evaluated in numbers. In the process of making a decision on issuing a loan, it is necessary to take into account the reputation of the borrower (personnel qualifications, compliance with contracts, payment discipline, etc.), as well as the features and prospects of the economic situation (development of the industry in which the borrower operates, his role and place in the industry, the level of competition, etc.), the presence of demand for products manufactured and sold by the borrower, etc.

Financial analysis requires reliable, constantly updated financial information, both obtained directly from the client (audited financial statements) and available in the credit archive (information on debt repayment delays and other irregularities), as well as information coming from external sources (from banks with which the borrower has dealt, its business partners, from the current press, etc.);

3) control over the use of credit. It should be distinguished from monitoring the current state of the borrower in the process of lending. The procedure for such control should be laid down in the loan agreement or a special annex to it (for example, the requirement to transfer all the accounts of a potential borrower to the bank, etc.). It is necessary to develop the security service of the bank;

4) attracting sufficient security for the loan to be issued to protect against losses in case of default.

In this case, an important circumstance is the fact that the size of the loan security must cover not only the amount of the loan, but also the amount of interest on it. However, under no circumstances should credit be granted for a questionable transaction because the client provides "good" collateral. The collateral is only an additional guarantee, not a payment for the loan, it does not reduce the risk of non-payment of the debt. This point should be especially taken into account by Russian banks, since most often the sale of collateral does not compensate for losses from an outstanding loan.

In practice, the most important types of credit security include surety, guarantee, pledge of goods, securities, movable and immovable property, insurance policy, assignment of the borrower to the bank of claims and accounts (cession).

Through guarantee agreements the guarantor assumes an obligation to the creditor (bank) to pay, if necessary, the debt recognized by the borrower (it is in this form that the guarantee is most often found in credit transactions). As practice shows, this is an acceptable form of security, provided that the guarantor has an impeccable solvency that does not raise doubts regarding the volume and legal validity of the obligations guaranteed by him.

Guarantee- a written obligation of a third party to pay a certain amount for the borrower upon the occurrence of a guarantee event. The bank guarantee was especially widespread. It differs from a guarantee in that the borrower's claims against the creditor are not taken into account within the framework of the bank's guarantee obligation. Therefore, when securing a loan, banks prefer a guarantee rather than a surety, especially if the guarantee contains a "on demand" clause. However, the use of guarantees as collateral for a loan requires the same analysis of the guarantor as of the borrower itself. Because the guarantee, as a contingent liability, is an off-balance sheet item of the guarantor, when assessing the credit risk associated with the guarantor, both the guarantor's on-balance sheet and off-balance sheet transactions need to be examined.

A bank using collateral withdrawals must determine which assets are considered suitable pledge when concluding a particular loan transaction and how to calculate the current cost of a loan. When assessing the value of pledged assets, it is necessary, in particular, to take into account the following characteristics:
- the possibility of their implementation on the market in the shortest possible time and without pre-sale preparation;
- frequency of market price fluctuations for this type of assets;
- the ease with which the creditor can locate the collateral and take possession of it;
- depreciation and obsolescence of pledged assets.

It should be remembered that loans secured by physical collateral in the form of receivables are the most susceptible to manipulation by borrowers.

The borrower in the course of commercial activities may have claims against a third party. In this case, he assigns them in favor of the bank as security for the loan received. Normal assignment (cession) of obligations as a guarantee of bank claims is widespread in the practice of financial institutions. Assignment of claims and invoices has technical advantages over collateral. In this case, there are no problems associated with the storage of collateral.

Credit insurance involves the transfer of the risk of its non-return to the organization engaged in insurance, it is issued by an insurance policy, which can be accepted as collateral for a loan. In this case, all insurance costs are borne by the borrower. In case of non-repayment of the loan, the bank has the right to count on the reimbursement of the lost loan by the insurance company in accordance with the terms of the insurance policy.

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